Title: Approximations for multivariate characteristics of classical risk ruin processes
Abstract: Multivariate characteristic of risk processes are of high interest to academic actuaries. In such modele the probability of ruin ie obtained not only considering initial reserves u but the severity of ruin y and the surplus before ruin x. This ruin probability can be expressed using an integral equation that can be efficiently solved using Gaver-Stehfest method of invertig Laplace transforms.
Publication Year: 1998
Publication Date: 1998-01-01
Language: en
Type: preprint
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